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IDTitle of StrategyMarkets TradedInstruments AvailableComplexityBacktest Period SourceBacktest LengthIndicative PerformanceVolatilityMaximum DrawdownSharpe Ratio
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1Asset Class Trend-Followingbonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20083611.27%6.87%-9.53%1.06
2Momentum Asset Allocation Strategybonds, commodities, equities, REITsCFDs, ETFs, funds, futuresSimple strategy1973-20093714.49%11%39.84%0.78
3Sector Momentum – Rotational SystemequitiesETFs, funds, stocksSimple strategy1928-20098213.94%18.38%-71.29%0.54
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7Low Volatility Factor Effect in StocksequitiesstocksComplex strategy1986-20062111.3%10.1% 0.72
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12Pairs Trading with StocksequitiesstocksComplex strategy1962-20024111.16%5.85% 1.22
13Short Term Reversal Effect in StocksequitiesstocksComplex strategy1990-20092016.25%14.94% 1.09
14Momentum Factor Effect in StocksequitiesstocksComplex strategy1927-2013878.3%16.6% 0.5
15Momentum Factor Effect in Country Equity IndexesequitiesETFs, fundsSimple strategy1968-20094217.7%   
16Reversal Effect in International Equity ETFsequitiesETFs, fundsSimple strategy1969-1995276.4%   
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20Volatility Risk Premium Effectequitiesfutures, options, swapsModerately complex strategy1986-19951026%19% 1.16
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    The Encyclopedia of Quantitative Trading Strategies

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